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| Luis A. Gil-Alana |
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| ''Fractional cointegration in the consumption and income relationship using semiparametric techniques'' |
| ( 2004, Vol. 3 No.47 ) |
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| This paper deals with the issue of the Permanent Income Hypothesis (PIH) and we show that consumption and income may be fractionally cointegrated. We use a semiparametric frequency domain procedure of Robinson (1995a), and the results show that the UK and the Japanese consumption and income are related in the long run throughout a fractional model. |
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| Keywords: Fractional cointegration |
JEL: C2 - Single Equation Models; Single Variables: General
C5 - Econometric Modeling: General |
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| Manuscript Received : Dec 10 2004 | | Manuscript Accepted : Dec 13 2004 |
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